a non-negative constant, a string containing a date specification in a format recognized by ParseDate, or a date data structure; the earliest date or time when the option can be exercised

latestexercise

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a non-negative constant, a string containing a date specification in a format recognized by ParseDate, or a date data structure; the maturity time or date

opts

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(optional) equation(s) of the form option = value where option is one of referencedate or daycounter; specify options for the AmericanSwaption command

Options

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referencedate = a string containing a date specification in a format recognized by ParseDate or a date data structure -- This option provides the evaluation date. It is set to the global evaluation date by default.

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daycounter = a name representing a supported day counter (e.g. ISDA, Simple) or a day counter data structure created using the DayCounter constructor -- This option provides a day counter that will be used to convert the period between two dates to a fraction of the year. This option is used only if one of earliestexercise or latestexercise is specified as a date.

Description

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The AmericanSwaption command creates a new American-style swaption with the specified payoff and maturity. The swaption can be exercised at any time between earliestexercise and latestexercise dates. This is the opposite of a European-style swaption, which can only be exercised on the date of expiration.

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The parameter irswap is the underlying interest rate swap (see InterestRateSwap for more details).

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The parameter earliestexercise specifies the earliest time or date when the option can be exercised. It can be given either as a non-negative constant or as a date in any of the formats recognized by the ParseDate command. If earlyexercise is given as a date, then the period between referencedate and earliestexercise will be converted to a fraction of the year according to the day count convention specified by daycounter. Typically the value of this option is , which means that the option can be exercised at any time until the maturity. Note that the time of the earliest exercise must precede the maturity time.

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The parameter latestexercise specifies the maturity time of the option. It can be given either as a non-negative constant or as a date in any of the formats recognized by the ParseDate command. If earlyexercise is given as a date, then the period between referencedate and latestexercise will be converted to a fraction of the year according to the day count convention specified by daycounter.

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The LatticePrice command can be used to price an American-style swaption using any given binomial or trinomial tree.